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Rubbenstroth, Bodo
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Center for Mathematical Economics Working Papers No. 619
This paper studies two player stopping games in a discrete time multiple prior framework with a finite time horizon. Optimal stopping times as well as recursive formulas for the value processes of the games are derived. These results are used to characterize the set of no-arbitrage prices for a game option. The notion of a no-arbitrage price for a game option is based on the idea to consider the payoff for fixed stopping times as an European option.
Dynkin games
multiple priors
game options
incomplete Markets
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Working Paper

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